Methane is widely used as a Fuel. It's the main constituent of NaturalGas, although in practice this has quite a lot of other things in, mostly longer chain gases (ethane and so on).
Methane has one big advantage over Hydrogen as a Fuel which is that it has a higher energy density: for a litre of Methane you will get a lot more Energy out. This makes it cheaper to transport. This also makes is much more suitable for uses where volume is a real issue, most obviously for powering vehicles.